Go to:
Logótipo
You are here: Start > Publications > View > A Closed-Form Solution for Options with Ambiguity about Stochastic Volatility
Today is sunday
Consultório Matemática
Publication

A Closed-Form Solution for Options with Ambiguity about Stochastic Volatility

Title
A Closed-Form Solution for Options with Ambiguity about Stochastic Volatility
Type
Academic Work
Year
2011-05-01
Authors
João Correia-da-Silva
(Author)
FEP
View Personal Page Send message Search for Participant Publications View Authenticus page View ORCID page
Gonçalo Faria
(Author)
Other
The person does not belong to the institution. The person does not belong to the institution. The person does not belong to the institution. Without AUTHENTICUS Without ORCID
Other information
Type (Professor's evaluation): Scientific
Documents
File name Description Size
wp414 working paper 758.09 KB
Related Publications

Of the same authors

The Price of Risk and Ambiguity in an Intertemporal General Equilibrium Model of Asset Prices (2011)
Academic Work
João Correia-da-Silva; Gonçalo Faria
Is Stochastic Volatility relevant for Dynamic Portfolio Choice under Ambiguity? (2012)
Academic Work
João Correia-da-Silva; Gonçalo Faria
Dynamic Consumption and Portfolio Choice with Ambiguity about Stochastic Volatility (2009)
Academic Work
Gonçalo Faria; Claúdia Ribeiro; João Correia-da-Silva
Is stochastic volatility relevant for dynamic portfolio choice under ambiguity? (2016)
Article in International Scientific Journal
João Correia-da-Silva; Gonçalo Faria
A closed-form solution for options with ambiguity about stochastic volatility (2014)
Article in International Scientific Journal
João Correia-da-Silva; Gonçalo Faria
Recommend this page Top
Copyright 1996-2026 © Faculdade de Engenharia da Universidade do Porto  I Terms and Conditions  I Accessibility  I Index A-Z  I Guest Book
Page generated on: 2026-03-15 at 00:40:03 | Acceptable Use Policy | Data Protection Policy | Complaint Portal